Adaptive Grey Wolf Optimization Technique for Stock Index Price Prediction on Recurring Neural Network Variants

Abstract

In this paper, we propose a Long short-term memory (LSTM) and Adaptive Grey Wolf Optimization (GWO)--based hybrid model for predicting the stock prices of the Major Indian stock indices, i.e., Sensex. The LSTM is an advanced neural network that handles uncertain, nonlinear, and sequential data. The challenges are its weight and bias optimization. The classical backpropagation has issues of dangling on local minima or overfitting the dataset. Thus, we propose a GWO-based hybrid approach to evolve the weights and biases of the LSTM and the dense layers. We have made the GWO more robust by introducing an approach to improve the best possible solution by using the optimal ranking of the wolves. The proposed model combines the GWO with Adam Optimizer to train the LSTM. Apart from the LSTM, we have also implemented the Adaptive GWO on other variants of Recurring Neural Networks (RNN) like LSTM, Bi-Directional LSTM, Gated Recurrent Units (GRU), and Bi-Directional GRU and computed the corresponding results. The Adaptive GWO here evolves the initial weights and biases of the above-discussed neural networks. In this research, we have also compared the forecasting efficiency of our proposed work with a particle-warm optimization (PSO) based hybrid LSTM model, simple Grey-wolf Optimization (GWO), and Adaptive PSO. According to the experimental findings, the suggested model has effectively used the best initial weights, and its results are the best overall.